I have found that the first rule of assembling a new system is to keep it simple.  And test each step as you go.  In your case, you probably should start over.  I know that sounds bad, but it is the best way to determine where your problem is.  Try booting with just the processor, heatsink and fan, ram and video card installed.  The first step is always to see if your m/b cpu and video card can post (power on self test).  If you get video, you can then enter setup (bios) and look around.  If it doesn't post, you have limited the potential problems to the motherboard, video card, ram or power supply.  (In other words, you don't have to worry about your floppy drive, hard drive, CD-Rom drive, CDRW or sound card, or network card or modem.)  Get the picture?  Start with the basics and work from there.  Sometimes the problem can be as simple as a video card that isn't fully inserted into the slot, or a ram that isn't fully seated.  Other times it may be harder to diagnose, like the motherboard shorting out on one of the mounting brackets.  Hopefully your board offers some kind of LED codes (like my MSI boards) or at least beep codes in the bios to indicate what your problem might be.   Oh, and I hope you plugged the fan on your heatsink into one of the fan headers on the motherboard, since many boards won't turn on if the fan isn't plugged into the appropriate header.  It is sort of a safety feature to prevent you from frying your cpu by running it without cooling.
Good Luck